Abstract
The method of “natural” estimation of variances in a general (orthogonal or nonorthogonal) finite discrete spectrum linear regression model of time series is suggested. Using geometrical language of the theory of projectors a form and properties of the estimators are investigated. Obtained results show that in describing the first and second moment properties of the new estimators the central role plays a matrix known in linear algebra as the Schur complement. Illustrative examples with particular regressors demonstrate direct applications of the results.
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Hančová, M. Natural estimation of variances in a general finite discrete spectrum linear regression model. Metrika 67, 265–276 (2008). https://doi.org/10.1007/s00184-007-0132-9
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DOI: https://doi.org/10.1007/s00184-007-0132-9